Epidemiological studies suggest a relationship between blood lipids and immune-mediated diseases, but the nature of these associations is not well understood. We used genome-wide association studies (GWAS) to investigate shared single nucleotide polymorphisms (SNPs) between blood lipids and immune-mediated diseases. We analyzed data from GWAS (n~200,000 individuals), applying new False Discovery Rate (FDR) methods, to investigate genetic overlap between blood lipid levels [triglycerides (TG), low density lipoproteins (LDL), high density lipoproteins (HDL)] and a selection of archetypal immune-mediated diseases (Crohn's disease, ulcerative colitis, rheumatoid arthritis, type 1 diabetes, celiac disease, psoriasis and sarcoidosis). We found significant polygenic pleiotropy between the blood lipids and all the investigated immune-mediated diseases. We discovered several shared risk loci between the immune-mediated diseases and TG (n = 88), LDL (n = 87) and HDL (n = 52). Three-way analyses differentiated the pattern of pleiotropy among the immune-mediated diseases. The new pleiotropic loci increased the number of functional gene network nodes representing blood lipid loci by 40%. Pathway analyses implicated several novel shared mechanisms for immune pathogenesis and lipid biology, including glycosphingolipid synthesis (e.g. FUT2) and intestinal host-microbe interactions (e.g. ATG16L1). We demonstrate a shared genetic basis for blood lipids and immune-mediated diseases independent of environmental factors. Our findings provide novel mechanistic insights into dyslipidemia and immune-mediated diseases and may have implications for therapeutic trials involving lipid-lowering and anti-inflammatory agents.